- Students must have done either ST908 Probability or ST401 Stochastic Methods in Finance.
- Students who are not enrolled in the MSc in Financial Mathematics may take at most two of the following modules:
• ST906 Financial Time Series.
• ST909 Continuous Time Finance for Interest Rate Models.
• ST958 Topics in Mathematical Finance.
- 3 hours of lectures per week. This module runs in Term 2. Lectures start in Week 2
- To provide an introduction to three advanced topics in Mathematical Finance.
- Compute and explain key variables in the relevant models.
- Apply appropriate mathematical techniques.
- Analyse and compare different modelling approaches.
This year's topics:
- Introduction to risk measures
- Contagion risk and systemic risk
- Beyond the Black-Scholes model
Topics are motivated by current questions relevant to the financial industry. Topics may change each year. Each topic is taught by a different lecturer.
- Three in-class tests: each worth 5% of final module mark.
- Final 2h exam (April): worth 85% of final module mark.
Illustrative Bibliography (for this year):
- Föllmer, H. and Schied, A. (2016): Stochastic Finance, 4th ed., de Gruyer.
- McNeil, A., Frey, R. and Embrechts, P. (2015): Quantitative Risk Management, 2nd rev. ed., Princeton University Press.
- Eisenberg, L., and Noe, T.H. (2001): Systemic risk in financial systems, Management Science 47(2), 236-249.
- Collin‐Dufresne, P., Goldstein, R., and Hugonnier, J. (2004): A general formula for valuing defaultable securities, Econometrica 72(5), 1377-1407.
- Gatheral, J. (2006): The volatility surface: a practitioner’s guide, Wiley.